PS: This doesn't work. Using wdWord2010 leave it as Word 2003. Using wdWord2007 does change it to Word 2007!
Code:
ActiveDocument.SaveAs2 Filename:=Filename("this is my filename"), FileFormat:=wdFormatDocumentDefault, CompatibilityMode:=wdWord2010
With ActiveDocument
.SetCompatibilityMode (wdWord2010)
End With